Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0484
Annualized Std Dev 0.3000
Annualized Sharpe (Rf=0%) 0.1614

Row

Daily Return Statistics

Close
Observations 4946.0000
NAs 1.0000
Minimum -0.2085
Quartile 1 -0.0063
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0075
Maximum 0.1820
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0189
Skewness -0.0009
Kurtosis 19.5082

Downside Risk

Close
Semi Deviation 0.0134
Gain Deviation 0.0149
Loss Deviation 0.0157
Downside Deviation (MAR=210%) 0.0175
Downside Deviation (Rf=0%) 0.0133
Downside Deviation (0%) 0.0133
Maximum Drawdown 0.7700
Historical VaR (95%) -0.0240
Historical ES (95%) -0.0453
Modified VaR (95%) -0.0233
Modified ES (95%) -0.0233
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2016-07-05 -0.7700 2368 523 1845
2020-02-19 2020-03-23 NA -0.4491 275 24 NA
2016-08-02 2018-02-08 2019-09-04 -0.2127 778 384 394
2002-04-15 2002-10-09 2003-06-11 -0.1940 292 124 168
2004-04-02 2004-05-11 2004-08-31 -0.1780 104 27 77

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA -0.6 0 0.5 -0.2 -0.1 0.8 0.2 0.1 0.6
2002 0.5 0.2 -0.4 0.7 0.2 -2.3 -1.6 0.8 -0.3 1.4 -0.3 0.6 -0.6
2003 1.1 0 1 1 1.7 0.9 -0.3 0.5 0.8 -0.3 1.2 -0.5 7.3
2004 1 1.1 1.1 -1.1 -0.7 -0.5 0.6 -0.3 1.7 1.2 2.4 -0.4 6.1
2005 0.2 1 0 1.8 1 0.9 -0.1 0.7 1.3 -2.2 0.9 -0.4 5
2006 0.5 0.7 0.3 -1.5 2.2 1.2 -0.4 -0.5 0 -0.7 -0.2 0.4 2
2007 0.4 -0.3 1.2 -0.9 0 -0.3 1 2 1.8 -3.7 1.4 0 2.6
2008 4 -1.9 6 2.2 -0.6 0.2 -0.1 -1 -1.8 7.2 -20.9 4.9 -4.8
2009 -3.6 -1.4 -1.7 -3.5 3.1 1.2 0.1 -5.3 -4.5 -1.9 1.2 -1.8 -17.1
2010 2 1 0.3 -3.2 -2 0 0.5 3.2 0.5 1 0.7 -0.2 3.6
2011 0.4 -3 0.1 -0.4 -2.8 1.9 -1.5 -1.5 -2.8 -3.5 -1.2 -0.4 -13.9
2012 1 0.6 0.9 1.2 -2.5 2.7 -0.3 0.2 -0.8 0.3 0.2 1.1 4.5
2013 0.6 0.4 0.3 -0.7 -1.3 -0.4 -0.3 -0.6 1.5 0.6 -1 -0.7 -1.8
2014 0.5 0.8 0.5 0.5 0.5 0.4 -0.2 0.5 0.1 1.4 -0.2 -1.6 3.4
2015 -2.2 0.7 -0.3 0.9 1.3 1.6 0.7 -1.9 0.5 -1 1.4 -0.9 0.8
2016 0.1 3 0 -1.1 0 0.1 0.2 -0.2 -0.7 -2.1 -1.4 1.3 -0.8
2017 -1.4 -0.4 0.6 0.7 0.5 -0.2 0.5 0.4 0 0.6 0.2 0 1.6
2018 -2.1 0.4 -0.1 1 0.5 0.3 0.6 0.3 -1 0.4 1.1 0.3 1.5
2019 -0.7 -0.6 0.2 0.4 0.5 -0.2 -0.2 0.2 -1 0.1 -0.5 0.7 -1.1
2020 -1.2 -2.3 -7.2 -3.5 2.4 2.5 0 -0.1 2.6 -0.4 1.1 1 -5.7
2021 1.8 0.6 -2 NA NA NA NA NA NA NA NA NA 0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-05-02  37.2 SPY    127. -0.0018    0.0296   0.110   -0.0744  -0.120        NA       NA <NA>     NA    NA       NA
2 2001-05-08  36.8 SPY    126. -0.0005   -0.0068   0.114   -0.068   -0.114        NA       NA <NA>     NA    NA       NA
3 2001-05-10  37.0 SPY    126.  0.00290   0.0065   0.0803  -0.0533  -0.0876       NA       NA <NA>     NA    NA       NA
4 2001-05-17  37.6 SPY    129.  0.0016    0.0248   0.0415  -0.0314  -0.110        NA       NA <NA>     NA    NA       NA
5 2001-05-29  38.6 SPY    127. -0.008    -0.0347   0.0103   0.0051  -0.0791       NA       NA <NA>     NA    NA       NA
6 2001-05-31  38.4 SPY    126.  0.0052   -0.0255  -0.0087   0.0108  -0.118        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart